Mark,
In this case, would you suggest any other test of heteroscedasticity
for an IV regression with panel data?
A similar question is for a test of autocorrelation. I use "abar"
(Arellano-Bond test of autocorrelation) do you think it is suitable
for the IV panel regression ?
Thanks a lot.
Ekrem.
2010/1/11 Schaffer, Mark E <[email protected]>:
> Ekrem,
>
> The problem is a fundamental econometric problem, and it doesn't matter whether you use xtivreg2,fe or ivreg2 with dummies - it's the same problem.
>
> If you check out their paper, you'll see that the bias in the usual Eicker-Huber-White-sandwich-robust VCE is proportional to 1/(T-1). If T is large enough for you to conclude the bias is small, you should be OK. But if T is small, then any tests that use this VCE won't be consistent.
>
> Cheers,
> Mark
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Ekrem Kalkan
>> Sent: 10 January 2010 22:56
>> To: [email protected]
>> Subject: Re: st: RE: RE: ivhettest
>>
>> Thank you Mark , it now works.
>>
>> Regarding the problem with fixed-effects, do you think that I
>> can use ivhettest after the command ivreg2 by adding panelid
>> dummies as regressors instead of a regression with xtivreg2.
>>
>> Ekrem.
>>
>> 2010/1/11 Schaffer, Mark E <[email protected]>:
>> > Ekrem,
>> >
>> > This is a bug I accidentally introduced into a recent
>> update of ivhettest, and which I subsequently corrected
>> shortly thereafter. You must be one of the few who
>> downloaded the buggy version.
>> >
>> > If you reinstall ivhettest, the new version should work.
>> >
>> > That said, the Stock-Watson point still stands - unless
>> your data are large-T-large-N (i.e., you have a reasonable
>> number of observations in the time series dimension as well
>> as the cross-section dimension), the test provided by
>> ivhettest won't be consistent with the fixed effects estimator.
>> >
>> > Best wishes,
>> > Mark
>> >
>> >> -----Original Message-----
>> >> From: [email protected]
>> >> [mailto:[email protected]] On Behalf Of Ekrem
>> >> Kalkan
>> >> Sent: 10 January 2010 22:21
>> >> To: [email protected]
>> >> Subject: Re: st: RE: RE: ivhettest
>> >>
>> >> First I set my panel units: "xtset productid marketid"
>> >> "marketid" is created by egen marketid=group(city month).
>> >>
>> >> Then, I run the following:
>> >>
>> >> ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies
>> monthdummies
>> >> othervariables
>> >>
>> >> Here is the trace of "ivhettest, bpg" after this regression:
>> >>
>> >> - version 7.0
>> >> - local version 1.1.7
>> >> - syntax [varlist(default=none)] [if] [in] [, ivlev ivsq
>> ivcp fitlev
>> >> fitsq ph phnorm phsym nr2 bpg all ]
>> >> - if "`e(cmd)'" != "ivreg" & "`e(cmd)'" != "ivreg2" &
>> "`e(cmd)'" !=
>> >> "ivgmm0" & "`e(cmd)'" != "regress" { = if "ivreg2" != "ivreg" &
>> >> "ivreg2" != "ivreg2" & "ivreg2" != "ivgmm0"
>> >> & "ivreg2" != "regress" {
>> >> error 301
>> >> }
>> >> - if "`e(fwlcons)'`e(partialcons)'" != "" { = if "0" != "" {
>> >> - di in r "ivhettest not allowed after ivreg2 with partial
>> >> (previously
>> >> fwl) option"
>> >> ivhettest not allowed after ivreg2 with partial (previously
>> >> fwl) option
>> >> - error 499
>> >> }
>> >>
>> >> I hope this helps.
>> >> Thanks.
>> >>
>> >> Ekrem.
>> >>
>> >>
>> >> 2010/1/10 Martin Weiss <[email protected]>:
>> >> >
>> >> > <>
>> >> >
>> >> > " There is not the "partial" command."
>> >> >
>> >> >
>> >> > -partial- would be an option to -ivreg2-, not a command. It is
>> >> > probably best if you just show the sequence of commands
>> as typed in
>> >> > the command line, and as the FAQ request. In the absence of this
>> >> > information, the problem is difficult to diagnose. Also
>> >> -set trace on-
>> >> > and report the lines around the error.
>> >> >
>> >> >
>> >> > HTH
>> >> > Martin
>> >> >
>> >> > -----Ursprüngliche Nachricht-----
>> >> > Von: [email protected]
>> >> > [mailto:[email protected]] Im Auftrag
>> von Ekrem
>> >> > Kalkan
>> >> > Gesendet: Sonntag, 10. Januar 2010 22:53
>> >> > An: [email protected]
>> >> > Betreff: Re: st: RE: RE: ivhettest
>> >> >
>> >> > Hello,
>> >> >
>> >> > My observations are in 3-dimensional space: Product x
>> City x Time.
>> >> >
>> >> > I have 93 products as cross-sectional units. Instead of using
>> >> > commands like xtivreg or xtivreg2, I use dummy variables
>> for each
>> >> > cross-sectional units and run the model with command
>> >> "ivreg2". There
>> >> > is not the "partial" command.
>> >> >
>> >> > My equation is below:
>> >> >
>> >> > ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies
>> >> monthdummies
>> >> > othervariables
>> >> >
>> >> > Then I implement "ivhettest" and get the error I had wrote
>> >> previously.
>> >> >
>> >> > Thanks.
>> >> >
>> >> > Ekrem.
>> >> >
>> >> >
>> >> > 2010/1/10 Schaffer, Mark E <[email protected]>:
>> >> >> Ekrenm,
>> >> >>
>> >> >> In addition to what Eric and Martin have said, I should
>> >> note that the
>> >> >> test employed by -ivhettest- (as well as Stata's -estat
>> >> hettest- and
>> >> >> others, I suspect) isn't valid after panel data estimation
>> >> with fixed
>> >> >> effects.
>> >> >>
>> >> >> The reason is that the test based on the contrast between the
>> >> >> classical non-robust VCV and the heteroskedastic-robust
>> >> VCV, as per
>> >> >> White (Econometrica 1980). However, as Stock and Watson
>> >> >> (Econometrica 2008) have shown, the standard
>> >> >> Eicker-Huber-White-robust-sandwich VCV isn't consistent for the
>> >> >> standard fixed effects estimator. Thus the test isn't
>> >> valid, because
>> >> >> in the presence of heteroskedasticity it's contrasting two
>> >> different inconsistent VCVs.
>> >> >>
>> >> >> --Mark
>> >> >>
>> >> >>> -----Original Message-----
>> >> >>> From: [email protected]
>> >> >>> [mailto:[email protected]] On Behalf
>> >> Of DE SOUZA
>> >> >>> Eric
>> >> >>> Sent: 10 January 2010 20:56
>> >> >>> To: '[email protected]'
>> >> >>> Subject: st: RE: ivhettest
>> >> >>>
>> >> >>> It says what is says. You used the "partial" option
>> with ivreg2.
>> >> >>> This partials out the effects of certain variables.
>> >> >>> When you use this option, you cannot use ivhettest after it.
>> >> >>>
>> >> >>> If you did not use the "partial" option with the command
>> >> -ivreg2-,
>> >> >>> please indicate exactly what you did.
>> >> >>>
>> >> >>>
>> >> >>> Eric de Souza
>> >> >>> College of Europe
>> >> >>> BE-8000 Brugge (Bruges)
>> >> >>> Belgium
>> >> >>>
>> >> >>> -----Original Message-----
>> >> >>> From: [email protected]
>> >> >>> [mailto:[email protected]] On
>> Behalf Of Ekrem
>> >> >>> Kalkan
>> >> >>> Sent: 10 January 2010 21:50
>> >> >>> To: [email protected]
>> >> >>> Subject: st: ivhettest
>> >> >>>
>> >> >>> Dear Stata users,
>> >> >>>
>> >> >>> After running a regression with "ivreg2" command, I run
>> >> "ivhettest"
>> >> >>> command for testing for heteroscedasticity. But, I
>> >> receive the error
>> >> >>> below:
>> >> >>>
>> >> >>> . ivhettest, bpg
>> >> >>> ivhettest not allowed after ivreg2 with partial (previously
>> >> >>> fwl) option
>> >> >>>
>> >> >>> Could you tell me what does this mean and how can I test
>> >> >>> heteroscedasticiy after an IV regression with panel data.
>> >> >>>
>> >> >>> Thank you.
>> >> >>>
>> >> >>> Ekrem Kalkan
>> >> >>> Turkish Competition Authority.
>> >> >>> *
>> >> >>> * For searches and help try:
>> >> >>> * http://www.stata.com/help.cgi?search
>> >> >>> * http://www.stata.com/support/statalist/faq
>> >> >>> * http://www.ats.ucla.edu/stat/stata/
>> >> >>>
>> >> >>> *
>> >> >>> * For searches and help try:
>> >> >>> * http://www.stata.com/help.cgi?search
>> >> >>> * http://www.stata.com/support/statalist/faq
>> >> >>> * http://www.ats.ucla.edu/stat/stata/
>> >> >>>
>> >> >>
>> >> >>
>> >> >> --
>> >> >> Heriot-Watt University is a Scottish charity registered
>> >> under charity
>> >> >> number SC000278.
>> >> >>
>> >> >>
>> >> >> *
>> >> >> * For searches and help try:
>> >> >> * http://www.stata.com/help.cgi?search
>> >> >> * http://www.stata.com/support/statalist/faq
>> >> >> * http://www.ats.ucla.edu/stat/stata/
>> >> >>
>> >> >
>> >> > *
>> >> > * For searches and help try:
>> >> > * http://www.stata.com/help.cgi?search
>> >> > * http://www.stata.com/support/statalist/faq
>> >> > * http://www.ats.ucla.edu/stat/stata/
>> >> >
>> >> >
>> >> > *
>> >> > * For searches and help try:
>> >> > * http://www.stata.com/help.cgi?search
>> >> > * http://www.stata.com/support/statalist/faq
>> >> > * http://www.ats.ucla.edu/stat/stata/
>> >> >
>> >>
>> >> *
>> >> * For searches and help try:
>> >> * http://www.stata.com/help.cgi?search
>> >> * http://www.stata.com/support/statalist/faq
>> >> * http://www.ats.ucla.edu/stat/stata/
>> >>
>> >
>> >
>> > --
>> > Heriot-Watt University is a Scottish charity registered
>> under charity
>> > number SC000278.
>> >
>> >
>> > *
>> > * For searches and help try:
>> > * http://www.stata.com/help.cgi?search
>> > * http://www.stata.com/support/statalist/faq
>> > * http://www.ats.ucla.edu/stat/stata/
>> >
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
